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International Journal of Stochastic Analysis
Table of Contents
Special Issues
International Journal of Stochastic Analysis
/
2014
/
Article
/
Tab 6
/
Research Article
A Semigroup Expansion for Pricing Barrier Options
Table 6
Case 6 (
,
,
,
,
,
).
Strike
Benchmark
Our approximation (
)
Barrier Black-Scholes (
)
100
3.587
3.594 (0.20%)
3.495 (−2.55%)
102
2.976
2.987 (0.39%)
2.866 (−3.68%)
105
2.170
2.183 (0.59%)
2.052 (−5.41%)